Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0131
Annualized Std Dev 0.2869
Annualized Sharpe (Rf=0%) -0.0458

Row

Daily Return Statistics

Close
Observations 4674.0000
NAs 1.0000
Minimum -0.3118
Quartile 1 -0.0037
Median 0.0005
Arithmetic Mean 0.0001
Geometric Mean -0.0001
Quartile 3 0.0048
Maximum 0.3802
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0181
Skewness 1.9816
Kurtosis 103.5385

Downside Risk

Close
Semi Deviation 0.0124
Gain Deviation 0.0165
Loss Deviation 0.0163
Downside Deviation (MAR=210%) 0.0162
Downside Deviation (Rf=0%) 0.0123
Downside Deviation (0%) 0.0123
Maximum Drawdown 0.7496
Historical VaR (95%) -0.0167
Historical ES (95%) -0.0388
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2004-03-17 2009-03-09 NA -0.7496 4283 1253 NA
2002-08-30 2002-10-09 2003-01-15 -0.0855 95 28 67
2003-06-30 2003-08-01 2003-12-17 -0.0800 120 24 96
2003-02-06 2003-03-25 2003-05-29 -0.0544 78 33 45
2004-01-15 2004-02-24 2004-03-12 -0.0484 40 27 13

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA NA -0.2 -0.1 1.2 -0.8 0 0.1
2003 -0.1 0.1 0.1 -0.1 0.1 0.4 -1.1 0.2 0.7 -0.3 0.2 -0.3 0
2004 1.2 0.2 0.4 1.2 0.9 1.3 0.6 0 -0.2 0.2 0.5 0.3 6.7
2005 0.4 1.5 0.4 -0.3 0 0.3 -0.1 -0.2 0.3 -0.2 0.8 1.2 4.1
2006 0.3 0.6 -0.1 0.4 0.3 0.6 0.4 0.6 -0.4 0.4 -0.3 0.3 3.2
2007 -0.1 -0.4 0.2 0.4 -0.2 0.4 1.3 0.4 -0.3 -0.3 3.5 0.6 5.5
2008 1 -1.7 4 0.3 0.4 -1.8 1.4 1.6 7.9 4.5 -4.9 -1.7 11
2009 -0.9 -3.5 -1.2 2.6 2.3 0.5 0.7 -1.4 -0.9 -1.7 1.2 0.5 -2.2
2010 1.6 1 0.3 -0.9 -0.9 0.5 -0.1 0.4 0 0.1 0.9 0.3 3
2011 0.8 -0.3 0.1 0.5 0.3 0.9 2.6 -1.1 -2.9 -1.1 -1 -0.4 -1.8
2012 0.4 0.5 -0.6 -0.1 -1.4 -1.8 0.2 -0.6 -0.3 0.3 0 1.4 -2.1
2013 0.5 -0.1 -0.6 0.1 -3.4 0.7 -1.5 0.1 -0.5 -0.9 0.8 -0.6 -5.3
2014 0.2 -0.8 0.4 0.8 0.2 -0.1 0.1 0.6 -0.5 0.3 -1.4 -0.9 -1.1
2015 0 0.2 0.5 -0.2 -0.3 0.1 0.5 -0.6 -0.6 0.4 0.6 0 0.5
2016 0.7 -0.3 -3.4 0.6 0.8 0.1 0.2 0.5 0.8 -0.6 -0.7 0.4 -0.9
2017 -0.1 0 0.7 0.1 0.3 0.1 0.3 0.6 -0.2 0.5 0.4 0.2 2.9
2018 -0.3 0 0.4 0.7 0.9 1.4 0 0.8 -0.7 1.1 0.4 2.1 6.8
2019 0.6 0 0 0.6 0 -0.2 -0.5 -0.6 0.7 0.4 0.2 0.6 1.9
2020 -0.5 -4.7 -11.4 -2.8 1.6 0.2 1.1 -0.3 0.3 -0.6 0.6 0.5 -15.7
2021 0.6 0.4 0.5 NA NA NA NA NA NA NA NA NA 1.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-08-23  25   SPY    94.6 -0.0215  0.0148    0.126    -0.130   -0.190   -0.286       NA <NA>     NA    NA       NA
2 2002-08-26  25.2 SPY    95.3  0.007  -0.0015    0.113    -0.119   -0.192   -0.289       NA <NA>     NA    NA       NA
3 2002-08-27  25.0 SPY    94.2 -0.0115 -0.00240   0.0489   -0.122   -0.187   -0.31        NA <NA>     NA    NA       NA
4 2002-08-28  25.1 SPY    92.1 -0.0219 -0.0381    0.0128   -0.139   -0.213   -0.328       NA <NA>     NA    NA       NA
5 2002-08-29  25.2 SPY    92.1  0.0004 -0.047     0.0108   -0.141   -0.210   -0.334       NA <NA>     NA    NA       NA
6 2002-08-30  25.1 SPY    91.8 -0.0039 -0.0298    0.0338   -0.121   -0.229   -0.329       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart